Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0121 |
| Annualized Std Dev | 0.1862 |
| Annualized Sharpe (Rf=0%) | -0.0651 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4957.0000 |
| NAs | 1.0000 |
| Minimum | -0.1357 |
| Quartile 1 | -0.0046 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0048 |
| Maximum | 0.2821 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0117 |
| Skewness | 2.6092 |
| Kurtosis | 97.5804 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0081 |
| Gain Deviation | 0.0100 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0129 |
| Downside Deviation (Rf=0%) | 0.0081 |
| Downside Deviation (0%) | 0.0081 |
| Maximum Drawdown | 0.6917 |
| Historical VaR (95%) | -0.0141 |
| Historical ES (95%) | -0.0258 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-11 | 2008-12-15 | NA | -0.6917 | 3593 | 507 | NA |
| 2001-08-17 | 2004-05-13 | 2006-09-15 | -0.2470 | 1272 | 684 | 588 |
| 2006-09-18 | 2006-10-03 | 2006-11-01 | -0.0315 | 33 | 12 | 21 |
| 2006-11-08 | 2006-11-09 | 2006-11-21 | -0.0110 | 10 | 2 | 8 |
| 2001-07-12 | 2001-07-24 | 2001-08-08 | -0.0099 | 19 | 9 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | -0.1 | -0.1 | -0.8 | 0.8 | 1.1 | -0.9 | 0 | 0 |
| 2002 | -0.5 | -0.4 | -0.5 | 0.5 | 0.8 | 0.9 | 1 | 0.6 | 0.5 | 0.5 | 0.9 | 0.4 | 4.9 |
| 2003 | 0.4 | 0.4 | -0.1 | 0.1 | -0.8 | -0.4 | 0.1 | 0.8 | 0.1 | 0.2 | -0.3 | 0.2 | 0.8 |
| 2004 | -0.1 | 0 | 0.4 | 0.2 | -0.3 | 0.2 | 1.2 | 0.1 | 0.2 | 0.1 | 0.1 | -0.4 | 1.7 |
| 2005 | 0.2 | -0.4 | 0.4 | 0.7 | 1.4 | -1 | 0 | -0.2 | -0.6 | 0.6 | -0.9 | -1.7 | -1.6 |
| 2006 | -2.6 | 0.3 | -0.6 | -0.7 | 0.7 | 0.9 | 0.4 | -0.3 | -0.5 | 0.4 | 0 | 2.2 | 0.1 |
| 2007 | 0.4 | 0.3 | 0.5 | -0.2 | -1 | -0.1 | 0.8 | 0 | 0.8 | 0.2 | 0.4 | -1.9 | 0.2 |
| 2008 | 0.2 | -1.9 | 0.7 | 0 | -2 | 0.1 | 0.3 | 0.2 | 0.6 | 3.8 | -6.1 | 1.8 | -2.8 |
| 2009 | -2.6 | 0.3 | -0.1 | -0.4 | -1.2 | 1.7 | 1.8 | -0.3 | -1.5 | 0 | -0.2 | 2.5 | -0.1 |
| 2010 | 1.2 | 0.4 | 0.2 | 0 | -0.5 | 0.5 | 0.3 | 0 | 0.3 | -1.2 | 0.5 | 1.8 | 3.5 |
| 2011 | -0.3 | -1.2 | 0.3 | 0.8 | 0.8 | 1.2 | 0 | 0 | 0.5 | 0.1 | 0.3 | 0.8 | 3.3 |
| 2012 | 2 | -0.5 | 0.5 | 1 | 0 | -0.3 | -0.7 | 0.6 | 0.8 | 0.4 | 0.2 | 0.9 | 4.9 |
| 2013 | 1.5 | 1 | 0.1 | -0.2 | -3.8 | 0 | -1.3 | -0.7 | 0.3 | -0.7 | -0.3 | -0.1 | -4.3 |
| 2014 | -0.1 | 0.6 | 0 | -0.2 | 0.2 | -0.6 | -0.2 | 0.3 | 0.4 | -0.3 | 0 | 0.7 | 0.9 |
| 2015 | 0.5 | 1.4 | -0.4 | -0.2 | 1.2 | 1.2 | 1.3 | 0.5 | 0.4 | 0.4 | 1 | 0.2 | 7.9 |
| 2016 | 1.5 | 0 | 0.7 | 1.2 | 1 | 0.1 | -0.2 | 0.1 | -0.2 | 0.2 | -0.3 | 0.5 | 4.7 |
| 2017 | 0.3 | -0.2 | 0.8 | 0.9 | 0.5 | 1.1 | 0.6 | 0 | 0.8 | 0 | 0.1 | 0.2 | 5.2 |
| 2018 | -0.9 | -0.3 | 0.3 | 0 | -0.2 | -0.6 | 0.7 | -0.1 | 0.7 | 0.6 | 0.2 | 1.5 | 1.7 |
| 2019 | 0.3 | -0.6 | 0.1 | 0.2 | 1.5 | -0.2 | 0 | 0.4 | 0.4 | 0.7 | -0.1 | -1.3 | 1.3 |
| 2020 | 0.4 | -3.9 | -4.4 | 1.4 | 0.7 | 0.5 | 0.1 | 0.3 | -0.7 | -0.6 | 0.6 | 0.7 | -4.8 |
| 2021 | 0.1 | 0 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
